5,924 reputation
21544
bio website blog.smaga.ch
location Hong Kong
age 28
visits member for 3 years, 10 months
seen 6 hours ago

Strats in a commodity trading firm in Hong Kong.


Nov
12
comment How to perform risk factor calculation?
You should develop more your answer: explaining why PCA is suitable would make it more useful...
Nov
12
reviewed Looks OK Solving Path Integral Problem in Quantitative Finance using Computer
Nov
12
reviewed Reviewed Looking for analysis of NASDAQ suit?
Nov
12
revised Looking for analysis of NASDAQ suit?
rephrased question, grammar, formatting
Nov
12
reviewed Reviewed Sources of Machine Readable News
Nov
12
reviewed Reviewed How do you synthesize a probability density function (pdf) from equally weighted price data?
Nov
12
comment How do you explain the volatility smile in the Black-Scholes framework?
Oh thank God you agree with me.
Nov
11
revised How to group mutual funds by volatility?
added 144 characters in body
Nov
11
revised How to group mutual funds by volatility?
rephrased question, reformulated question, removed courtesies, retagged
Nov
11
comment How to group mutual funds by volatility?
Ok I'll edit your question to make it understandable then.
Nov
11
answered How to group mutual funds by volatility?
Nov
10
revised How to compute interest rate futures spread ratio?
remouved courtesies, rephrased question
Nov
10
comment How do you explain the volatility smile in the Black-Scholes framework?
@Freddy do you agree that IV are computed using market prices and some formula $f(...,\sigma)=p$?
Nov
10
comment How to group mutual funds by volatility?
What do you call "rescued shares"? Are you trying to compute the volatility of the returns and the classify them?
Nov
10
comment How do you explain the volatility smile in the Black-Scholes framework?
@Freddy you compute IV using the BS formula.... if that's not assuming a model then I don't know what it is. It means "what would be the volatility taken by market participants if they used the BS formula to price their option?". Well that's pretty much depending on BS to me.
Nov
10
comment How do you explain the volatility smile in the Black-Scholes framework?
I don't think it's only missing a variable, there are various weak points to the theory (normality of returns for example). Your question was about interpreting implied volatilities, and I'm answering that IV can't really be interpreted because they rely on a "wrong" model yielding contradictory results.
Nov
9
revised How do you explain the volatility smile in the Black-Scholes framework?
retagged,rephrased question
Nov
9
answered How do you explain the volatility smile in the Black-Scholes framework?
Nov
9
revised How do you explain the volatility smile in the Black-Scholes framework?
removed courtesies
Nov
9
revised Exposition of Growth in a Perpetuity
added 8 characters in body